Lipschitz continuous policy functions for strongly concave optimization problems
We prove that the policy function, obtained by optimizing a discounted infinite sum of stationary return functions, is Lipschitz continuous when the instantaneous function is strongly concave. Moreover, by using the notion of \(\alpha\)-concavity, we provide an estimate of the Lipschitz constant which turns out to be a decreasing function of the discount factor.
discounted infinite sum of stationary return functions
scientific article; zbMATH DE number 4037619
scientific article